Sorry, you'll have to go listen to Listen With Nicko. Which you should probably do anyway if you never have. The Batman joke is at the end of one of the early parts (one of the first three, I'm pretty sure).
By the way, I'm not being a jerk here: you need to hear it. It doesn't work in print.
Generally speaking, the joke tends to imply a level of closeness in the relationship between Batman and Robin, in a manner which might offend the sensitivities of a properly cultured lady or gentleman, and as such I can hardly tell it, because I'm all about that culture bitch.